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Optimization with First-Order Surrogate Functions
Optimization First-Order Surrogate Functions
2013/6/14
In this paper, we study optimization methods consisting of iteratively minimizing surrogates of an objective function. By proposing several algorithmic variants and simple convergence analyses, we mak...
Explicit expressions for the variogram of first--order intrinsic autoregressions
Appell’s hypergeometric functions F2 F4 First–order intrinsic autoregression Hypergeometric 3F2 4F3 Variogram
2010/3/18
Exact and explicit expressions for the variogram of first–order
intrinsic autoregressions have not been known. Various asymptotic expansions
and approximations have been used to compute the variogra...
Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average
noninvertible moving averages Laplace likelihood
2010/4/27
The first-order moving average model or MA(1) is given by Xt =
Zt − 0Zt−1, with independent and identically distributed {Zt}. This is arguably
the simplest time series model that one ca...